On the Distribution of the Surplus Prior and at Ruin

Hanspeter Schmidli

ASTIN Bulletin, 1999, vol. 29, issue 2, 227-244

Abstract: Consider a classical compound Poisson model. The safety loading can be positive, negative or zero. Explicit expressions for the distributions of the surplus prior and at ruin are given in terms of the ruin probability. Moreover, the asymptotic behaviour of these distributions as the initial capital tends to infinity are obtained. In particular, for positive safety loading the Cramer case, the case of subexponential distributions and some intermediate cases are discussed.

Date: 1999
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